BondVal and Amortizers

[fmvilleneuve]

Hello everyone,

 

I'm trying to use the function BondVal(...) to recover the PV of a loan with multiple disbursements and repayments. The principal outstanding will be a schedule that looks like the following:

 

0 20

0.5 40

1 60

1.5 80

2 100

2.5 75

3 50

3.5 25

4 0

 

Will BondVal(...) also PV the principal cash flows?

 

Thanks

[Rich_Tanenbaum]

Yes.

[fmvilleneuve]

I assume this extends to FRNVal(...) too, right? i.e. By having a par schedule, the FRNVal(...) function will take into account notional cash flows and PV them in order to recover the current price. Could you please confirm?

 

I assumed yes, and I tried it, but I run into a bug.

 

I thin there is something wrong with FRNVal(...). When I enter a par schedule, it returns the settlement date. Check out my example below:

 

First get the answer for:

 

=FRNVal(38891,38891,38898,100,0.05,5,0,0,0,"*SA0FNB")

 

It's an FRN settling on 30-Jun-2006 with a par of 100.

 

Now replace 100 by an array like the following: (30-Jun-2006; 100)

You'll see that the answer is 38898, which is 30-Jun-2006, which is the settlement date.

 

Do you get the same thing?

[Rich_Tanenbaum]

Yes, we can reproduce it. We'll let you know as soon as we've discovered the source of the problem.

[Rich_Tanenbaum]

The bug has been fixed. For forward starting bonds, it assumed there was no par range entered, just a single value, so it set the value of one of the legs to the first element of the schedule, which was a date, not a notional.

 

A new version will be posted to the ftp site shortly, with a note in the forum.

[Rich_Tanenbaum]

The new version has now been uploaded.